Well, the first step to cosplaying is (1) research. Try to find reference pics of your character, from all angles. (2) Check this website and deviantArt to see if someone has already done some of the research for you. If you're lucky, you'll find tutorials specific to this character. Websites such as the series wiki or Zerochan.net will most likely have pics, too. Include references of hair, shoes, and accessories. Finally, (3) List all the various pieces of his outfit that you want to include as part of your cosplay.
Depending on your budget, time limits, and skill level, buying and modifying might be less expensive but reasonably time consuming. Making the outfit from scratch will be expensive and time consuming, not to mention difficult. (4) Decide which pieces you can make, modify, and buy. If you're not sure how to do the aforementioned, make a thread in the appropriate forum. Trying to sew something? Post in the "Sewing" forum. Trying to make a prop or weapon? Post in the "Props" forum. Buying a wig, but unsure which to get? I think you know the drill.
Most of the time, there is no single step-by-step tutorial for a character's entire outfit. Again, this is why research and deliberation are important. The more complicated the outfit, the more research and deliberation may be required. Check the "Blue Exorcist" thread on this site before you do anything. You may find answers to your questions.
If you've made it through this entire wall of text, congrats! Hope this gives you ideas on how to get started and where to find some info for your project. Remember, some manufacturers offer this cosplay, and it may be cost-effective to buy it from them. Good luck!